Garch model indentification using neural network
GARCH models are being largely used to estimate the volatility offinancial assets, and GARCH(1,1) is the one most used. However, identificationof GARCH models is not fully explored. Some specialist systems technology havebeen used in some applications of time series models such as time seriesclassif...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2014 |
| País: | Brasil |
| Institución: | Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP) |
| Repositorio: | Independent Journal of Management & Production |
| Idioma: | inglés |
| OAI Identifier: | oai:www.ijmp.jor.br:article/161 |
| Acceso en línea: | http://www.ijmp.jor.br/index.php/ijmp/article/view/161 |
| Access Level: | acceso abierto |
| Palabra clave: | GARCH Volatility Identification. |
| Sumario: | GARCH models are being largely used to estimate the volatility offinancial assets, and GARCH(1,1) is the one most used. However, identificationof GARCH models is not fully explored. Some specialist systems technology havebeen used in some applications of time series models such as time seriesclassification problems, ARMA models identification, as well as SARIMA. The aim of this paper is to develop an intelligent system that can accurately identifythe specification of GARCH models providing the right choice of the model to beused, thus avoiding the indiscriminate usage of GARCH(1,1) model. |
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